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Continuous Price Processes in Frictionless Markets Have Infinite Variation

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  • Harrison, J Michael
  • Pitbladdo, Richard
  • Schaefer, Stephen M

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  • Harrison, J Michael & Pitbladdo, Richard & Schaefer, Stephen M, 1984. "Continuous Price Processes in Frictionless Markets Have Infinite Variation," The Journal of Business, University of Chicago Press, vol. 57(3), pages 353-365, July.
    • Handle: RePEc:ucp:jnlbus:v:57:y:1984:i:3:p:353-65
    DOI: 10.1086/296268
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    Citations

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    Cited by:

    1. Chen, Xiaohong & Hansen, Lars Peter & Carrasco, Marine, 2010. "Nonlinearity and temporal dependence," Journal of Econometrics, Elsevier, vol. 155(2), pages 155-169, April.
    2. Lo, Andrew W & Wang, Jiang, 1995. "Implementing Option Pricing Models When Asset Returns Are Predictable," Journal of Finance, American Finance Association, vol. 50(1), pages 87-129, March.
    3. Lo, Andrew W., 1988. "Maximum Likelihood Estimation of Generalized Itô Processes with Discretely Sampled Data," Econometric Theory, Cambridge University Press, vol. 4(2), pages 231-247, August.
    4. Azmoodeh Ehsan & Mishura Yuliya & Valkeila Esko, 2009. "On hedging European options in geometric fractional Brownian motion market model," Statistics & Risk Modeling, De Gruyter, vol. 27(2), pages 129-144, December.
    5. Blenman, L. P. & Cantrell, R. S. & Fennell, R. E. & Parker, D. F. & Reneke, J. A. & Wang, L. F. S. & Womer, N. K., 1995. "An alternative approach to stochastic calculus for economic and financial models," Journal of Economic Dynamics and Control, Elsevier, vol. 19(3), pages 553-568, April.
    6. Stoyan V. Stoyanov & Yong Shin Kim & Svetlozar T. Rachev & Frank J. Fabozzi, 2017. "Option pricing for Informed Traders," Papers 1711.09445, arXiv.org.
    7. Salopek, D. M., 1998. "Tolerance to arbitrage," Stochastic Processes and their Applications, Elsevier, vol. 76(2), pages 217-230, August.
    8. Thornton, Michael A. & Chambers, Marcus J., 2016. "The exact discretisation of CARMA models with applications in finance," Journal of Empirical Finance, Elsevier, vol. 38(PB), pages 739-761.
    9. Lim, Terence & Lo, Andrew W. & Merton, Robert C. & Scholes, Myron S., 2006. "The Derivatives Sourcebook," Foundations and Trends(R) in Finance, now publishers, vol. 1(5–6), pages 365-572, April.
    10. Salopek, D. M., 2002. "A new class of nearly self-financing strategies," Statistics & Probability Letters, Elsevier, vol. 56(1), pages 69-75, January.
    11. Hardy Hulley, 2009. "Strict Local Martingales in Continuous Financial Market Models," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 19, July-Dece.
    12. Kerstin Lamert & Benjamin R. Auer & Ralf Wunderlich, 2023. "Discretization of continuous-time arbitrage strategies in financial markets with fractional Brownian motion," Papers 2311.15635, arXiv.org.
    13. Andrew W. Lo, A. Craig MacKinlay, 1988. "Stock Market Prices do not Follow Random Walks: Evidence from a Simple Specification Test," The Review of Financial Studies, Society for Financial Studies, vol. 1(1), pages 41-66.
    14. Hardy Hulley, 2009. "Strict Local Martingales in Continuous Financial Market Models," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 2-2009.
    15. Jiling Cao & Xinfeng Ruan & Shu Su & Wenjun Zhang, 2020. "Pricing VIX derivatives with infinite‐activity jumps," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(3), pages 329-354, March.
    16. Cheridito, Patrick, 2004. "Gaussian moving averages, semimartingales and option pricing," Stochastic Processes and their Applications, Elsevier, vol. 109(1), pages 47-68, January.

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